Morning Stock Screen Using Price Range, Prior Low, and Opening Gain

Summary

This Chinese equity screen combines three daily price conditions: an amplitude above 1%, a session low below the previous session’s low, and an opening gain below 6% in absolute terms. The post interprets the combination as a way to find volatile stocks that have moved below a prior low but have not made a large opening move. It includes formula references and a Python example that loops through stocks and sorts qualifying names by price-to-book value.

The author describes the screen as focused on short-term movement and market sentiment, while warning that it omits fundamentals and can overemphasize volatility. The sample code uses the first available bar’s open and close as a proxy for the stated 9:25 condition, so it may not capture that specific time point. The post recommends checking broader market context and adding company-specific fundamental measures. It provides no backtest or evidence that the conditions identify profitable trades.

Key ideas

• The screen requires daily amplitude above 1%, a new low below the prior session’s low, and an absolute opening move below 6%.
• The post interprets the conditions as a short-term volatility and price-action filter.
• Its code uses bar data as a proxy for the stated 9:25 reading, which may not be equivalent.
• The author warns that fundamental information and broader market conditions are omitted.
• No backtest or performance evidence is reported.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.